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The Empirical Research on the Holding Share Characteristics of Domestic Securities Investment Fund and Qualified Foreign Institutional Investors

Author: HuangGuoTao
Tutor: ZhuHongQuan
School: Southwest Jiaotong University
Course: Finance
Keywords: domestic funds QFII characteristics of holding stocks empirical research
CLC: F832.51
Type: Master's thesis
Year: 2011
Downloads: 113
Quote: 0
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Abstract


With the development of the capital market, Chinese mutual funds are also developing very fast. Till to the end of June 2009, there are 60 fund management companies managing 492 funds of all kinds. The percentage of funds’ net value to the market value of the security market is already over 40%. On November 5,2002, China Securities Regulatory Commission and the People’s Bank of China jointly released "Temporary means of management of investment of securities within the territory of qualified external institutional investors", allowing the Qualified Foreign Institutional Investors (QFII for short) to invest on Chinese security market through Chinese security dealing institutions under some stipulations and limitations. And the assets of QFII should be managed by Chinese commercial banks. The temporary means were formally implemented on December 1,2002, and this is a symbol of China’s capital market introducing the QFII system formally. After several years of development, QFII has become an important part of institutional investors in China’s security market. Till to the end of June 2009, there are already 85 qualified foreign institutional investors.Domestic security investment funds and QFII are the most important institutional investors. Institutional investors play a very important role in the capital market. They can stabilize the market, increase the market’s utility and improve the companies’governance structure. At the same time, the institutional investors have great influences on the investment of personal investors. The characteristics of the stocks the institutional investors invest are direct reflections of the institutions’investment strategies.Firstly, this article introduces the history and the current situation of the domestic mutual funds and QFII. And theoretically analyses the characteristics the institutions hold stocks. Then determine the factors that may affect the characteristics after considering the features of China’s security market. Thirdly this article does regression analysis using the data from the second quarter of 2003 to the second quarter of 2009. The results show that institutional investors obviously prefer to hold stocks that have some certain characters. And the preferences of holding stocks between domestic funds and QFII are very different. After regression analysis using a standardized model, the article finds that domestic funds prefer to holds stocks of big market value, good historical returns and low turnovers. Meanwhile, QFII refer stocks with high percentage of floating stocks and low turnovers. And the characteristics of QFII holding stocks are not all the same with the characteristics they should have theoretically.Afterwards, this article divides the data into two parts, in order to study the characteristics of institutions holding stocks under different market situations. The empirical results show that the preferences are different under different market situations. To the domestic funds, they always prefer stocks with big market value and high price. But they also prefer stocks with high percentages of floating share under bear market. To the QFII, they prefer stocks with high percentages of floating share. Under bull market, QFII prefer to hold stocks with small market value and high leverage ratio, but these preferences don’t exist under bear market.At last, this article offers some reference to the government, institutional and individual investors based on the results of empirical research.

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Financial market
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